ShareIss5Y · External financing · Daniel and Titman (2006)

Share issuance (5 year)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1931Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.32%

95% interval 0.90% to 1.73%

Next year

1.30%

95% interval 0.88% to 1.72%

Next five years

1.22%

95% interval 0.73% to 1.68%

Next quarter

2.78%

95% interval 1.34% to 4.13%

Next year

2.55%

95% interval 1.35% to 3.69%

Next five years

1.90%

95% interval 1.24% to 2.65%

Next quarter

2.08%

95% interval 1.42% to 2.74%

Next year

2.04%

95% interval 1.40% to 2.69%

Next five years

1.90%

95% interval 1.23% to 2.57%

Next quarter

5.72%

95% interval 3.13% to 7.53%

Next year

5.07%

95% interval 2.97% to 6.65%

Next five years

3.20%

95% interval 2.20% to 4.30%

Cumulative market-adjusted return

+9,766% since 1931Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1931Q3–2024Q4	5.26%	8.16%	0.65	6.24
2020Q1–2024Q4	8.21%	8.79%	0.93	2.09
2024Q1–2024Q4	5.72%	7.93%	0.72	0.72
1931Q3–2024Q4	7.09%	10.37%	0.68	6.61
2020Q1–2024Q4	18.48%	19.84%	0.93	2.08
2024Q1–2024Q4	22.95%	10.92%	2.10	2.10
1931Q3–2024Q4	8.09%	11.73%	0.69	6.67
2020Q1–2024Q4	13.04%	17.64%	0.74	1.65
2024Q1–2024Q4	24.95%	14.98%	1.67	1.67
1931Q3–2024Q4	10.68%	14.04%	0.76	7.36
2020Q1–2024Q4	32.45%	27.34%	1.19	2.65
2024Q1–2024Q4	48.92%	12.82%	3.82	3.82

Horizon	Mean	95% interval
Next quarter	0.325	0.220 – 0.425
Next year	0.318	0.215 – 0.421
Next five years	0.298	0.179 – 0.411
Next quarter	0.539	0.257 – 0.809
Next year	0.494	0.260 – 0.720
Next five years	0.365	0.239 – 0.510
Next quarter	0.356	0.241 – 0.472
Next year	0.347	0.238 – 0.459
Next five years	0.324	0.210 – 0.437
Next quarter	0.823	0.445 – 1.099
Next year	0.727	0.422 – 0.960
Next five years	0.456	0.313 – 0.612